FRTB Fundamental Review of the Trading Book Conference (November 2016)

As a gold sponsor, CompatibL is happy to announce the WBS FRTB Conference that will take place in London: 16th, 17th & 18th November 2016. The event will host various presentations and panel discussions of well-known figures of the industry, aiming to dig into the key issues of the Fundamental Review of the Trading Book of interest for both, financial firms and vendors.

Main conference day one streams:

Capital & Collateral Requirements

Modelling Challenges

Model Validation

Banking Book vs Trading Book


Main conference day two streams:

Desk Eligibility Rules

Non-Modellable Risk Factors

P&L Attribution Testing

Challenges of the New Framework 

CVA, Initial Margins & AAD

Impacting the Operating Model of Banks


Alexander Sokol, CEO and Head of Quant Research at CompatibL, will open the “CVA, Initial Margin and AAD” stream, presenting the advantages of using AAD to compute sensitivities of price and CVA orders for FRTB SA-TB, SA-CVA and SIMM.


For more information about the speakers, presentations, panel discussions and schedule of the event, please click here